diff options
Diffstat (limited to 'python/markit/rates.py')
| -rw-r--r-- | python/markit/rates.py | 8 |
1 files changed, 3 insertions, 5 deletions
diff --git a/python/markit/rates.py b/python/markit/rates.py index 433a8a6a..418657d5 100644 --- a/python/markit/rates.py +++ b/python/markit/rates.py @@ -1,14 +1,11 @@ -from . import dbconn import datetime from env import DATA_DIR from io import BytesIO -import lz4 -from pandas.tseries.offsets import BDay from psycopg2 import sql import requests import xml.etree.ElementTree as ET import zipfile -from yieldcurve import YC, ql_to_jp +from serenitas.analytics.yieldcurve import YC, ql_to_jp def downloadMarkitIRData(conn, download_date=datetime.date.today(), currency="USD"): @@ -46,7 +43,8 @@ def downloadMarkitIRData(conn, download_date=datetime.date.today(), currency="US sql_str = f"INSERT INTO {currency}_curves VALUES(%s, %s) ON CONFLICT DO NOTHING" with conn.cursor() as c: c.execute( - sql_str, (MarkitData["effectiveasof"], jp_yc.__getstate__()), + sql_str, + (MarkitData["effectiveasof"], jp_yc.__getstate__()), ) instruments = MarkitData["deposits"] + MarkitData["swaps"] names = sql.SQL(", ").join([sql.Identifier(r[0]) for r in instruments]) |